Crude Oil – Options Report – September 2, 2010
FMX | Connect (Reported 9/02/10)
The following is a report of Crude Oil Option’s activity in the Over-The-Counter and Exchange traded venues. Information is compiled and summarized below.
Crude Oil ATM Volatility Curve:
Volatility Smile:
***From NYMEX Settlements
Heating Oil ATM Volatility Curve:
Volatility Smile:
***From NYMEX Settlements
End of Day Straddles
| CL | | | |
| | Future | Bid | Offer |
| V0 | 75 | 355 | 365 |
| X0 | 76 | 650 | 670 |
| Z0 | 77.5 | 890 | 910 |
| F1 | 78.5 | 1085 | 1105 |
| G1 | 79 | 1270 | 1290 |
| H1 | 79.5 | 1430 | 1455 |
| J1 | 80 | 1565 | 1590 |
| K1 | 80.5 | 1690 | 1720 |
| M1 | 81 | 1800 | 1825 |
| Z1 | 83 | 2310 | 2340 |
| Z2 | 85 | 2850 | 2890 |
| Z3 | 86.5 | 3180 | 3230 |
| Z4 | 87.5 | 3450 | 3520 |
| | | | |
| HO | | | |
| | Future | Bid | Offer |
| V10 | 205 | 1150 | 1350 |
| X10 | 207 | 1900 | 2100 |
| Z10 | 209 | 2450 | 2650 |
| F11 | 211 | 3000 | 3250 |
| G11 | 214 | 3400 | 3650 |
| | | | |
| RBOB | | | |
| | Future | Bid | Offer |
| V10 | 191 | 1200 | 1400 |
| X10 | 191 | 1900 | 2100 |
| Z10 | 192 | 2400 | 2600 |
| F11 | 194 | 2850 | 3100 |
| G11 | 196 | 3200 | 3500 |
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End Of Day Straddles
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